Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0059
Annualized Std Dev 0.1421
Annualized Sharpe (Rf=0%) -0.0418

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1205
Quartile 1 -0.0035
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0038
Maximum 0.1342
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0090
Skewness -0.2141
Kurtosis 38.7020

Downside Risk

Close
Semi Deviation 0.0065
Gain Deviation 0.0069
Loss Deviation 0.0077
Downside Deviation (MAR=210%) 0.0115
Downside Deviation (Rf=0%) 0.0065
Downside Deviation (0%) 0.0065
Maximum Drawdown 0.5536
Historical VaR (95%) -0.0116
Historical ES (95%) -0.0209
Modified VaR (95%) -0.0083
Modified ES (95%) -0.0083
From Trough To Depth Length To Trough Recovery
1999-01-08 2008-10-10 2012-07-19 -0.5536 3405 2455 950
2016-09-08 2020-03-19 NA -0.3842 1141 888 NA
2012-11-13 2013-08-16 2016-09-07 -0.2548 961 191 770
2012-07-30 2012-08-27 2012-10-05 -0.0499 49 21 28
2012-10-31 2012-11-05 2012-11-07 -0.0165 6 4 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 0.4 0.8 -0.4 0 0.4 1.8 0 -0.9 0.5 1 2.1 5.9
2000 0 0.5 1.5 -1 1.6 1 0.9 -1.8 0 -1.4 0.5 -0.4 1.3
2001 -1 0.5 0.4 0.4 0.1 0 0.2 0.3 0.7 0.1 0.5 -0.7 1.7
2002 0.2 0.1 0.9 0.2 0.3 0.7 -0.3 0.3 -0.5 0.8 0.1 0.3 3.1
2003 0.6 0.3 -0.3 -0.3 0.9 0.7 -0.4 -0.1 -0.1 0.5 -0.1 0.1 2
2004 0.1 -0.5 0.3 0.4 0.6 1 -0.1 -0.1 -0.2 0.3 0.1 0.8 2.4
2005 0.1 -0.1 -0.4 0.2 0.5 0 -0.2 0.2 0.2 -0.3 -0.3 0.4 0.2
2006 -0.4 -0.1 -0.1 0.4 0.7 0.2 -0.2 0.4 -0.3 0.3 0.3 0.4 1.6
2007 0.4 -0.4 0.2 0.2 -0.3 0.9 -0.2 0.7 0.3 -0.3 1.2 0.8 3.7
2008 0.5 -1.1 1.1 -0.5 0 0.2 0.2 0.7 1.9 -1.9 -1 0.2 0.2
2009 -0.1 -1.7 0.8 0.4 0 0.3 1 1.4 0.6 -2.2 -0.3 -0.3 -0.4
2010 0.6 0.5 0.2 0 0.2 0.2 0.4 -0.1 0.5 -0.5 -0.7 1.6 2.8
2011 1.4 0.2 0.7 0.3 -0.5 1.1 1.1 1.1 -0.1 0.6 -0.5 0.3 5.9
2012 0.1 0.4 0.1 0.1 -0.2 0.4 -0.1 -1.2 0.5 0.5 -0.8 0.1 0
2013 -0.1 -0.4 -0.4 0.4 -1.8 -0.2 0.4 -0.1 -0.1 -0.6 -0.1 0.3 -2.9
2014 -0.3 -0.3 -0.5 0.2 -1.4 -0.6 0.2 -0.3 1 0 0.4 -0.2 -1.9
2015 0.7 1.1 -0.2 -0.4 0.6 0.4 0.7 1 0.4 0.2 0.3 0.3 5.2
2016 0.4 1.8 0 -0.3 0.3 0 -0.1 0.4 -0.4 -0.4 -0.5 1 2.2
2017 -0.5 -0.4 -0.5 -0.5 0.1 -0.1 0.6 -0.1 0.5 0.4 0.3 -0.3 -0.5
2018 -0.1 -0.1 -0.2 0.4 -0.5 0.1 -0.4 0.6 -0.3 0.3 -0.9 1.1 -0.1
2019 0.4 0.1 -0.4 0.1 -0.4 -1.1 0.2 0.3 0.6 -0.1 0 0.4 0.2
2020 0.5 -1.2 -1.3 1.4 0.1 0.3 0.6 0.4 -0.1 0.6 0.1 0.5 1.8
2021 -0.3 0.1 -0.6 NA NA NA NA NA NA NA NA NA -0.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  16.5 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  16.5 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  16.6 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  16.7 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  16.6 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  16.4 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart